Lady

Lady was sentenced to death by Cersei Lannister for Nymeria's (Arya's direwolf) attack on her son Joffrey Baratheon, a sentence which was later carried out by Eddard Stark. The death of Sansa's direwolf could have symbolized Sansa losing the sense of "Stark" identity, and what it means to belong to a house that emphasizes loyalty among the family.

As of Season 2, Lady is the only one of the six Stark direwolves to die.